数量经济学研讨会

【201304】

报告题目： An Integrated-Quantile-Based Nonparametric Test of Exogenous Participation in First Price Auctions

报告人：刘年青

时间：2013年11月12日下午12:30-1:30

报告地点：明德主楼729

内容简介：In this paper, we develop an integrated quantile based nonparametric test for exogenous participation hypothesis in first price auctions. Using the fact that two distributions being equal is equivalent to their integrals over arbitrary interval being equal, we propose simple quantile based statistic for testing the null hypothesis that the private values of bidders are drawn from the same distribution in two samples of auctions with different numbers of bidders against the alternative hypothesis that the private value distributions are different with different numbers of bidders. Our test is convenient in practice since it only involves one step estimation of quantile functions of bids. We also characterize the asymptotic distribution of the integrated quantile based statistic under the null hypothesis with regularity conditions. We show that it is the supremum of absolute value of Gaussian process with mean zero. The simulation results show that our test performs well under moderate sample sizes. Finally, we adapt our testing procedure to auctions with entry.

报告人简介：

　　刘年青， 上海财经大学经济学院助理教授， 2013年博士毕业于宾州州立大学（PSU）经济系。 他的主要研究方向是理论计量经济学、应用微观计量、实证产业组织理论和博弈论。

中国人民大学经济学院数量经济教研室

中国人民大学运筹学与数量经济研究所

2013年11月

为了加强与国内外高水平数量经济学学者的交流和合作，更好地促进数量经济学与院内其他学科之间的合作交流，数量经济学教研室将举办数量经济学研讨会。研讨会侧重于理论计量经济学、应用计量经济学及数理经济学的最新研究成果，欢迎各位学者参加或报告。如果您有研究成果想要报告，请与数量经济学教研室章永辉博士联系（yonghui.zhang@hotmail.com）。